Peel the shrimp, leaving the tail segment on so you can have a little handle. Using a pairing knife, make a shallow slit down the back of each shrimp and remove the black vein. Discard the black veins and set the shrimp aside.
In a medium saucepan, combine the remaining ingredients (except lemon wedges for garnish and Cocktail Sauce) and bring to a boil over high heat.
Add the shrimp to the boiling water, stir, cover, and remove from the heat. Let stand for 8 to 10 minutes.
Strain the shrimp in a colander set in the sink and transfer the shrimp to a large bowl. Discard the cooking liquid and seasonings.
Refrigerate the shrimp until well chilled, about 1 hour. While the shrimp are chilling, make the Cocktail Sauce.
When ready to serve, divide the shrimp among four small bowls and hang them on the rim of each bowl.
Spoon an equal amount of cocktail sauce into the bottom of each bowl. Garnish each bowl with a lemon wedge.
(Alternatively, you can arrange a layer of crushed ice in the bottoms of four bowls, put a small dish of cocktail sauce in the ice, and arrange the shrimp on the ice around the sauce.)
YIELD: 4 servings